That is really odd. It could possibly be a unique feature of the G930, but i could have sworn it was there when i was still using my G35.

The only other thing i can think of that "Listen to this device" is checked under your microphone settings.

Go to Control Panel > Hardware and Sound.
Click on Manage audio devices under Sound.
Click on the Recording tab.
Right click to G35 and go to properties.
Click on the Listen tab.
Uncheck Listen to this device and click OK.